Convert annotations to Grease Pencil object (old GP to new GP)
I finally found out and it's quite easy:


In object mode, show the right sidebar of the window by clicking n.
In the Annotations section, check which is the name of your (old) Grease Pencil datablock. For ease of reading, rename it OLD_GP.





Create an empty Grease Pencil object (SHIFT+A > Grease Pencil > Blank)
In the properties panel of that object, go to the Grease Pencil tab.
Load the datablock that we have previously renamed OLD_GP.




Now we need to assign a material to the Grease Pencil because it it currently "invisible" :


Go to the materials tab and click New.




Et voilà !


You can now remove the datablock from the annotations.